VIX (Volatility Index) - Futures & Options

[Paul Ellis]

How does one take a position on the VIX from Australia? I guess the options are futures or options. I checked out my CFD provider who has a VIX instrument but it is $250 a pip (thats just for the mini contract). I am looking at a much smaller position as a hedge.

 

[cutz]

Just set up an account with IB which will give you access to the futures and options.

 

[wayneL]

How does one take a position on the VIX from Australia? I guess the options are futures or options. I checked out my CFD provider who has a VIX instrument but it is $250 a pip (thats just for the mini contract). I am looking at a much smaller position as a hedge.

$250 a tick (not pip) is the same as the futures contract.

Bear in mind that VIX futures or whatever will not reflect the cash VIX exactly. There is also a VIX ETN (ticker VXX) but that has it's own set of problems as well.

Unless you get your head around all the issues, just don't go there. There are better ways to hedge.

 

[ginar]

My CMC account has a vix future based cfd that you can trade for as low as 1 dollar a pip by the looks of it . Never actually traded it but it looks interesting .

cheers

 

[wayneL]

My CMC account has a vix future based cfd that you can trade for as low as 1 dollar a pip by the looks of it . Never actually traded it but it looks interesting .

cheers

TICK!!!!!!!!!!!!!!!!!!!!!

It's tick! Pips are for the forex heathen.

 

[cutz]

How does one take a position on the VIX from Australia? I guess the options are futures or options. I checked out my CFD provider who has a VIX instrument but it is $250 a pip (thats just for the mini contract). I am looking at a much smaller position as a hedge.

Hey Paul,

What are you looking at hedging ?

Don't know much about trading the VIX but as WayneL alluded to it looks like some sort of weird monster.

 

[Paul Ellis]

thanks for the replies!

I am looking at VIX because I have no idea where markets will be in 1,2,3 or 4 years from now but I do know it will be more volatile than we are used to - hence my simplistic idea to go long VIX futures or call options. As it has an inverse correlation with the S&P500, it seems like a natural hedge to a long share portfolio.

regarding pips/ticks - I have no idea but in my CFD platform for VIX futures (CFD) it says "Value of One Pip - $200" - maybe its a CFD thing?

 

[Grinder]

I'd stay well away from the VIX, all is not what it seems.

 

[DB008]

CWA do Warrants on the VIX among other things. Have a look. But, they put a premium into their products. So, you might get something moving in your favour, but still be at break even.

http://www.cwa.net.au/public/index.php


http://www.cwa.net.au/public/pages.php?id=103

 

[MRC & Co]

Anybody got any opinion on what the current low VIX reading means (I know what it means), but i.e. are traders getting complacant? Perhaps some volatility to come (could it be used as a contrarian indicator?), or is the VIX generally a better 'prediction tool'?

I don't follow the VIX closely enough, which is why I'm asking for those who genuinely use the VIX to help make their trading decisions.

I remember WayneL used to watch the VIX closely for an indication, but thought he said it's not he same as it used to be? Has it gone far enough though to become contrarian?

 

[Grinder]

I don't put much faith in the VIX, it gives a snapshot of whats going on but more often than it falls short as an indicator.

Adam explains it in detail in todays post.

http://dailyoptionsreport.com/blog/post/be-all-and-vix-all/

 

[MRC & Co]

I don't put much faith in the VIX, it gives a snapshot of whats going on but more often than it falls short as an indicator.

Adam explains it in detail in todays post.

http://dailyoptionsreport.com/blog/post/be-all-and-vix-all/

A reply by one of the ASF options boys, much appreciated Grinder.

 

[mazzatelli]

I don't put much faith in the VIX, it gives a snapshot of whats going on but more often than it falls short as an indicator.

http://dailyoptionsreport.com/blog/post/be-all-and-vix-all/

In addition to that article
It's not so much the VIX itself, but people tend to believe in mean reversion for volatility. I've discussed before that vol clustering has more weight than mean reversion.

In a nutshell: just because its low doesn't mean it will revert
Knowing the speed of reversion average and amount of time it clusters in addition would be helpful. But definitely not an indicator to be taken by itself.

I personally don't follow the VIX, and those I know that do tend to focus on VBI term structures rather than the VIX itself

 

[Grinder]

Mazza, with historical models to use when trying to forecast vol, such as ARCH or GARCH which can give off stochastic vol or moving averages and expotential methods as an alternative, what do you like to use?

 

[CanOz]

Correction over? Vix as spiked and now after NFP we've got a big bear candle...

 

[ThingyMajiggy]

Anyone actually trade the VIX as opposed to using it as an "indicator"? Is it as simple as okay we have NFP coming Friday night, long on Monday for the build up in volatility for nonfarms?

 

[DeepState]

Anyone actually trade the VIX as opposed to using it as an "indicator"?

Is it as simple as okay we have NFP coming Friday night, long on Monday for the build up in volatility for nonfarms?

VIX is tradable on CBOE via futures and/or options. People use it to hedge derivative books and asset portfolios as well as to speculate.

It is not as simple as that. Volatility expectations are baked into the option chain for the S&P 500. These include allowance for the spikes in volatility that might be anticipated from events like NFP amongst others. The VIX is then based off those. To profit, you will need to be better at estimating where 30 day volatility will move to than the market.

 

[Joules MM1]

$SPX cash closed at 1970 .....also a very tough year
SPX S&P 500 Index (INDEX) -64.84 = 3.19%


price down vix up, surprised? of course not

(HamzeiAnalytics) when CI's go red vix sells .....

View attachment 63960

Hamzei Analytics ‏@HunterKillerSub 6h6 hours ago

#VIX today hits +4 sigma